Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0188
Annualized Std Dev 0.0392
Annualized Sharpe (Rf=0%) 0.4789

Row

Daily Return Statistics

Close
Observations 3571.0000
NAs 1.0000
Minimum -0.0164
Quartile 1 -0.0012
Median 0.0001
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0014
Maximum 0.0184
SE Mean 0.0000
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0025
Skewness 0.0094
Kurtosis 4.0652

Downside Risk

Close
Semi Deviation 0.0017
Gain Deviation 0.0017
Loss Deviation 0.0017
Downside Deviation (MAR=210%) 0.0086
Downside Deviation (Rf=0%) 0.0017
Downside Deviation (0%) 0.0017
Maximum Drawdown 0.0741
Historical VaR (95%) -0.0037
Historical ES (95%) -0.0056
Modified VaR (95%) -0.0038
Modified ES (95%) -0.0058
From Trough To Depth Length To Trough Recovery
2016-07-06 2018-11-08 2019-08-15 -0.0741 784 593 191
2008-12-17 2009-06-08 2010-08-10 -0.0714 414 118 296
2008-03-18 2008-06-16 2008-11-06 -0.0596 164 63 101
2010-11-05 2011-02-08 2011-08-02 -0.0538 186 65 121
2013-05-03 2013-09-05 2015-01-14 -0.0439 429 87 342

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -0.3 -0.3 0 -0.4 -0.7 0.3 -0.6 0 -0.3 0.2 0.2 0.3 -1.7
2008 0 0.8 -1 -0.4 0.2 -0.4 -0.1 -0.1 0.2 0.4 0.8 -0.4 0
2009 0.1 0.3 -0.1 -0.4 -1.1 -0.1 0.6 0 0.3 0.4 -0.7 -0.2 -0.7
2010 -0.4 -0.1 -0.3 0.3 0.1 -0.2 0.3 -0.5 -0.1 -0.1 -0.8 0.2 -1.6
2011 -0.5 0 -0.1 0.1 0.3 -0.3 0 0.2 0.2 0.2 -0.1 0.2 0.3
2012 -0.2 -0.2 -0.2 -0.1 0.1 -0.1 -0.2 0.3 0 -0.1 0.1 -0.2 -0.8
2013 -0.1 0 0 0.1 -0.1 0 -0.5 -0.1 -0.2 -0.3 0 -0.1 -1.4
2014 0.2 -0.1 -0.1 0 -0.1 -0.3 0.3 0.1 0.3 -0.1 -0.2 0.1 0.2
2015 0.5 0.2 0.1 -0.4 -0.3 -0.4 0.4 0.1 -0.1 0 0.1 0.1 0.3
2016 -0.3 -0.6 -0.2 0 -0.2 0 -0.3 0 -0.1 0 -0.3 0.1 -1.7
2017 -0.2 -0.6 0.2 -0.2 -0.1 -0.1 0 -0.3 -0.1 -0.1 0 0.1 -1.5
2018 -0.1 0.2 0.1 -0.3 -0.4 0 -0.3 0.1 -0.3 -0.1 0.1 0.2 -0.9
2019 -0.5 -0.4 -0.6 -0.3 0.5 -0.3 0.6 0 0.1 -0.3 0 -0.1 -1.3
2020 0.3 0.8 0 -0.1 -0.1 -0.2 0 0 -0.1 -0.1 -0.3 0 0.3
2021 0 0 -0.1 NA NA NA NA NA NA NA NA NA -0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-11  99.9 SPY    142.  0.0044   0.0035   0.0052   0.0509    0.103    0.265    0.230 GLD    60.6  0.0007  -0.0165
2 2007-01-12  99.9 SPY    143.  0.0076   0.0192   0.0099   0.0602    0.108    0.265    0.234 GLD    62.2  0.0254   0.0332
3 2007-01-16  99.8 SPY    143. -0.002    0.0125   0.0087   0.049     0.110    0.270    0.244 GLD    62.0 -0.0032   0.0246
4 2007-01-17  99.8 SPY    143.  0.0004   0.0138   0.0081   0.0468    0.111    0.260    0.252 GLD    62.6  0.0108   0.0294
5 2007-01-18  99.9 SPY    143. -0.0034   0.0071  -0.0041   0.0417    0.111    0.253    0.238 GLD    62.3 -0.0061   0.0276
6 2007-01-19  99.8 SPY    143.  0.002    0.0046   0.0034   0.047     0.117    0.250    0.266 GLD    63    0.0119   0.0391
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart